Estimation of Spatially Varying Parameters with Application to Hyperbolic SPDES

Algorithm 5

EnKBF dual filter.

Require:, , , , and .

Ensure:, .

1: forto, do

2: fortodo

3:  fortodo

4:   Calculate using (50)

5:  end for

6:  Update using Equation (49c)

7:  Update parameters using (48)

8: end for

9: Compute

10: Compute

11: end for